Estimation of generalized threshold autoregressive models

DOI10.1080/03610926.2022.2029896OpenAlexW4220721734MaRDI QIDQ6164720

Unnamed Author, Jian-hua Shi, Rong Mao Zhang

Publication date: 28 July 2023

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2022.2029896

zbMATH Keywords

nonlinear time seriescompound Poisson processBayesian estimatorthreshold AR models

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• On parameter estimation of threshold autoregressive models
• Threshold models in non-linear time series analysis
• On the least squares estimation of multiple-regime threshold autoregressive models
• On maximum likelihood estimators for a threshold autoregression
• Nonlinear time series. Nonparametric and parametric methods
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS
• Inference in TAR Models
• Sample Splitting and Threshold Estimation
• Self‐Weighted Lad‐Based Inference for Heavy‐Tailed Continuous Threshold Autoregressive Models
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